2   Artículos

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en línea
Nelson Christopher Dzupire, Philip Ngare and Leo Odongo    
This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indiffere... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga     Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

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